theorem
whole_space_phi_star_lower_bound_intermediate
{E : Type u}
[NormedAddCommGroup E]
[InnerProductSpace ℝ E]
[CompleteSpace E]
(f : E → ℝ)
(x0 : E)
(μ : ℝ)
(L : NNRealˣ)
(gamma0 : ℝ)
(y : ℕ → E)
(α : ℕ → ℝ)
(k : ℕ)
(xk : E)
(halpha_k : α k ≤ 1)
(htransportCoeff :
0 ≤ α k * (1 - α k) * estimatingSequenceCurvature μ gamma0 α k / estimatingSequenceCurvature μ gamma0 α (k + 1))
(hμ : 0 ≤ μ)
(hphi_k : f xk ≤ simpleSetEstimatingValue Set.univ ⋯ ⋯ ⋯ f x0 μ L gamma0 y α k)
:
simpleSetEstimatingValue Set.univ ⋯ ⋯ ⋯ f x0 μ L gamma0 y α (k + 1) ≥ (1 - α k) * f xk + α k * f (gradientStep f (y k) L) + (α k / (2 * ↑↑L) - α k ^ 2 / (2 * estimatingSequenceCurvature μ gamma0 α (k + 1))) * ‖gradient f (y k)‖ ^ 2 + α k * (1 - α k) * estimatingSequenceCurvature μ gamma0 α k / estimatingSequenceCurvature μ gamma0 α (k + 1) * inner ℝ (gradient f (y k)) (simpleSetEstimatingCenter Set.univ ⋯ ⋯ ⋯ f x0 μ L gamma0 y α k - y k)
The intermediate whole-space lower bound obtained from the strong-convexity owner recursion by
specializing to Q = Set.univ and dropping the nonnegative transport strong-convexity term.
theorem
strong_objective_correction_nonneg
{E : Type u}
[NormedAddCommGroup E]
(μ : ℝ)
(y : ℕ → E)
(k : ℕ)
(xk : E)
(hμ : 0 ≤ μ)
:
0 ≤ μ / 2 * ‖xk - y k‖ ^ 2
Helper for Remark 2.20.1: the strong-convexity correction in (2.3.8) is nonnegative when
μ ≥ 0.
theorem
strong_objective_lower_implies_objective_lower
{E : Type u}
[NormedAddCommGroup E]
[InnerProductSpace ℝ E]
[CompleteSpace E]
(f : E → ℝ)
(μ : ℝ)
(L : NNRealˣ)
(y : ℕ → E)
(k : ℕ)
(xk : E)
(hμ : 0 ≤ μ)
(hobjective_lower :
f xk ≥ f (gradientStep f (y k) L) + inner ℝ (gradient f (y k)) (xk - y k) + 1 / (2 * ↑↑L) * ‖gradient f (y k)‖ ^ 2 + μ / 2 * ‖xk - y k‖ ^ 2)
:
f xk ≥ f (gradientStep f (y k) L) + inner ℝ (gradient f (y k)) (xk - y k) + 1 / (2 * ↑↑L) * ‖gradient f (y k)‖ ^ 2
Helper for Remark 2.20.1: the strong lower model (2.3.8) implies the μ-free lower model
used by the owner estimate-sequence theorem.
theorem
whole_space_phi_star_lower_bound_of_strong_objective_lower_bound
{E : Type u}
[NormedAddCommGroup E]
[InnerProductSpace ℝ E]
[CompleteSpace E]
(f : E → ℝ)
(x0 : E)
(μ : ℝ)
(L : NNRealˣ)
(gamma0 : ℝ)
(y : ℕ → E)
(α : ℕ → ℝ)
(k : ℕ)
(xk : E)
(halpha_k : α k ≤ 1)
(htransportCoeff :
0 ≤ α k * (1 - α k) * estimatingSequenceCurvature μ gamma0 α k / estimatingSequenceCurvature μ gamma0 α (k + 1))
(hμ : 0 ≤ μ)
(hphi_k : f xk ≤ simpleSetEstimatingValue Set.univ ⋯ ⋯ ⋯ f x0 μ L gamma0 y α k)
(hobjective_lower :
f xk ≥ f (gradientStep f (y k) L) + inner ℝ (gradient f (y k)) (xk - y k) + 1 / (2 * ↑↑L) * ‖gradient f (y k)‖ ^ 2 + μ / 2 * ‖xk - y k‖ ^ 2)
:
simpleSetEstimatingValue Set.univ ⋯ ⋯ ⋯ f x0 μ L gamma0 y α (k + 1) ≥ f (gradientStep f (y k) L) + (1 / (2 * ↑↑L) - α k ^ 2 / (2 * estimatingSequenceCurvature μ gamma0 α (k + 1))) * ‖gradient f (y k)‖ ^ 2 + (1 - α k) * inner ℝ (gradient f (y k))
((α k * estimatingSequenceCurvature μ gamma0 α k / estimatingSequenceCurvature μ gamma0 α (k + 1)) • (simpleSetEstimatingCenter Set.univ ⋯ ⋯ ⋯ f x0 μ L gamma0 y α k - y k) + (xk - y k))
Remark 2.20.1: if φ_k^* ≥ f(x_k) and the whole-space lower model (2.3.8) holds at y_k,
then the next estimate-sequence value satisfies the textbook whole-space lower bound (2.3.10).